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| Author: | Simaan, Y. |
| Title: | Estimation risk in portfolio selection:The mean variance model versus the mean absolute deviation model. |
| Journal: | Management Science
1997 : OCT, VOL. 43:10, p. 1437-1446 |
| Index terms: | PORTFOLIO SELECTION INVESTMENT ANALYSIS STATISTICAL METHODS |
| Language: | eng |
| Abstract: | This paper shows that ignoring the covariance matrix results in greater estimation risk that outweights the benefits. Estimation error is more severe in small samples (small observations relative to the number of assets) and for investors with high risk tolerance. The MV model's lower estimation risk is most striking in small samples and for investors with a low risk tolerance. |
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